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Ornstein-Uhlenbeck process

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Ornstein-Uhlenbeck process [¦ȯrn‚stīn ′ü·lən‚bek ‚prä‚ses]
(statistics)
A stochastic process used as a theoretical model for Brownian motion.
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Proposition (Value of the Expected Flow of Profits with Mean-Reverting Price) (a) The Case of an Ornstein-Uhlenbeck Process (OU) Introduce the function [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] Define the functions and [f.
Firm's value under investment irreversibility, stochastic demand and ... by Bouasker, Olfa; Prigent, Jean-Luc / International Journal of Business
We have first analyzed each method in a Black-Scholes world and in a stochastic volatility world in which the volatility is modelled by an Ornstein-Uhlenbeck process.
Portfolio insurance strategies: a comparison of standard methods when ... by Bertrand, Philippe; Prigent, Jean-luc / International Journal of Business
They derive closed form expressions for the granularity of geometric Brownian motion and of an Ornstein-Uhlenbeck process for call and put options, and perform Monte Carlo simulations that illustrate the practical relevance of granularity.
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